Understanding Changes in the Topology and Geometry of Financial Market Correlations during a Market Crash.
SGX
TAIEX
correlation filtering
econophysics
financial markets
minimal spanning tree
planar maximally filtered graph
topological data analysis
Journal
Entropy (Basel, Switzerland)
ISSN: 1099-4300
Titre abrégé: Entropy (Basel)
Pays: Switzerland
ID NLM: 101243874
Informations de publication
Date de publication:
14 Sep 2021
14 Sep 2021
Historique:
received:
19
07
2021
revised:
05
09
2021
accepted:
06
09
2021
entrez:
28
9
2021
pubmed:
29
9
2021
medline:
29
9
2021
Statut:
epublish
Résumé
In econophysics, the achievements of information filtering methods over the past 20 years, such as the minimal spanning tree (MST) by Mantegna and the planar maximally filtered graph (PMFG) by Tumminello et al., should be celebrated. Here, we show how one can systematically improve upon this paradigm along two separate directions. First, we used topological data analysis (TDA) to extend the notions of nodes and links in networks to faces, tetrahedrons, or
Identifiants
pubmed: 34573837
pii: e23091211
doi: 10.3390/e23091211
pmc: PMC8467365
pii:
doi:
Types de publication
Journal Article
Langues
eng
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